Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0069
Annualized Std Dev 0.1001
Annualized Sharpe (Rf=0%) -0.0692

Row

Daily Return Statistics

Close
Observations 3273.0000
NAs 1.0000
Minimum -0.0671
Quartile 1 -0.0031
Median 0.0002
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0034
Maximum 0.0552
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0063
Skewness -0.7041
Kurtosis 12.2689

Downside Risk

Close
Semi Deviation 0.0047
Gain Deviation 0.0041
Loss Deviation 0.0049
Downside Deviation (MAR=210%) 0.0103
Downside Deviation (Rf=0%) 0.0047
Downside Deviation (0%) 0.0047
Maximum Drawdown 0.3173
Historical VaR (95%) -0.0094
Historical ES (95%) -0.0149
Modified VaR (95%) -0.0100
Modified ES (95%) -0.0218
From Trough To Depth Length To Trough Recovery
2008-03-28 2008-11-21 2011-04-26 -0.3173 777 168 609
2012-12-21 2020-03-18 NA -0.2984 2075 1821 NA
2011-05-02 2011-11-25 2012-12-17 -0.1221 411 146 265
2008-03-20 2008-03-20 2008-03-24 -0.0047 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA -1.6 -1.1 0 -0.2 -1.1 -0.1 0.7 -0.2 -2 0 -5.5
2009 -1.2 0.4 1.1 0.2 0.8 0.5 1.6 0.4 -0.1 -0.6 1 0.4 4.7
2010 0.8 -0.4 0.5 0.7 0 0.9 0.8 0.5 0.8 0.1 0.5 1 6.4
2011 0.8 -0.1 0.2 0.6 -1 -0.2 -1.1 -0.6 -0.3 -1.2 -0.2 0.2 -3
2012 1.2 0 0.5 0.2 0 0.9 -0.6 0.4 0.3 0.2 0.2 0.3 3.7
2013 0.2 -0.4 0 0.2 -0.5 0.2 -0.6 -0.3 0 -1.3 0.2 -0.1 -2.5
2014 -0.4 0.5 0.2 -0.4 0 0.1 -0.6 0.1 0.4 -0.7 0.1 0.1 -0.7
2015 -0.1 0 0.5 -1.1 -0.9 -0.9 0.7 0.7 0 0.1 0.7 -0.1 -0.3
2016 0.5 0.3 -0.2 0.6 0 -0.1 -0.1 0.4 -0.2 -0.5 -0.3 -0.1 0.3
2017 1.1 -0.7 0.2 0.1 0.8 0.2 0.2 0.3 0 -0.1 0.7 0.3 3.2
2018 -0.6 -0.1 0.6 -0.9 -0.5 0.5 -0.7 0.1 -0.3 0.9 -0.1 0.2 -0.9
2019 0.1 -0.6 0.2 0 0.2 -0.6 -0.3 -0.4 -0.3 0 0.6 0.1 -1
2020 0.3 -0.5 -1.4 -0.6 0.4 0.4 0 0.1 -0.2 -0.5 0.1 0.1 -1.8
2021 -0.3 0.1 -0.2 NA NA NA NA NA NA NA NA NA -0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-03-19  62.0 SPY    130. -0.0248  -0.0079  -0.0384  -0.102   -0.0755   0.0918    0.493 GLD    93.0 -0.0359  -0.0409
2 2008-03-20  61.7 SPY    132.  0.0184   0.0081  -0.0235  -0.0902  -0.0738   0.120     0.509 GLD    89.9 -0.0336  -0.0857
3 2008-03-24  62.0 SPY    135.  0.02     0.0394  -0.0005  -0.0765  -0.0591   0.141     0.528 GLD    90.1  0.0021  -0.0872
4 2008-03-25  62.1 SPY    135.  0.001    0.0511  -0.0057  -0.0814  -0.0596   0.154     0.504 GLD    92.7  0.0292  -0.0649
5 2008-03-26  62.2 SPY    133. -0.0122  -0.0032  -0.0301  -0.101   -0.0698   0.138     0.536 GLD    93.8  0.0115  -0.028 
6 2008-03-27  62.4 SPY    133. -0.0032   0.0189  -0.0403  -0.110   -0.0706   0.134     0.517 GLD    93.5 -0.0036   0.0045
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart